2 g Γ – solution : the smallest g - supersolution of BSDE with constraint
نویسندگان
چکیده
In this paper, we study a type of reflected BSDE with a constraint and introduce a new kind of nonlinear expectation via BSDE with a constraint and prove the Doob-Meyer decomposition with respect to the super(sub)martingale introduced by this nonlinear expectation. Then we an application on the pricing of American options in incomplete market.
منابع مشابه
BSDEs with weak terminal condition
We introduce a new class of Backward Stochastic Differential Equations in which the T -terminal value YT of the solution (Y, Z) is not fixed as a random variable, but only satisfies a weak constraint of the form E[Ψ(YT )] ≥ m, for some (possibly random) non-decreasing map Ψ and some threshold m. We name them BSDEs with weak terminal condition and obtain a representation of the minimal time t-va...
متن کاملConstruction and Uniqueness for reflected BSDE under linear increasing condition
In this paper, we study the uniqueness of the solution of reflected BSDE with one or two barriers, under continuous and linear increasing condition of generator g. Before that we study the construction of solution of of reflected BSDE with one or two barriers.
متن کاملGraphs with smallest forgotten index
The forgotten topological index of a molecular graph $G$ is defined as $F(G)=sum_{vin V(G)}d^{3}(v)$, where $d(u)$ denotes the degree of vertex $u$ in $G$. The first through the sixth smallest forgotten indices among all trees, the first through the third smallest forgotten indices among all connected graph with cyclomatic number $gamma=1,2$, the first through<br /...
متن کاملبهینهسازی سنتز نانوذرات نقره وچاپ یک الگوی رسانا
In this study, the parameters affecting the synthesis of silver nanoparticles were optimized by green chemical reduction method to make a conductive pattern. The raw materials used in this study, include silver nitrate as a source of silver ions, polyvinylpyrrolidone as surface stabilizer, and glucose as the reducing agent. Effective parameters were investigated by Taguchi statistical design,...
متن کاملBSDEs with Singular Terminal Condition and a Control Problem with Constraints
We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novelty of our solution approach is that the BSDE possesses a singular terminal condition. We prove that a solution of the BSDE exists, thus partly generalizing existence results obtained by Popier in [9] and [10]. We perf...
متن کامل